Advances in Filtering and Optimal Stochastic Control: Proceedings of the IFIP-WG 7/1 Working Conference Cocoyoc, Mexico, February 1-6, 1982 (Lecture Notes in Control and Information Sciences) - Softcover

L. G. Gorostiza W. H. Fleming

Softcover

ISBN 10: 3540119361 ISBN 13: 9783540119364

Publisher: Springer, 1982

Synopsis

Existence, uniqueness and tail behavior of solutions to Zakai equations with unbounded coefficients.- Optimal stopping under partial observations.- Optimal control of partially observed diffusions.- Accurate evaluation of conditional densities in nonlinear filtering.- An efficient approximation scheme for a class of stochastic differential equations.- Stochastic control with noisy observations.- Applications of duality to measure-valued diffusion processes.- Optimal stopping of controlled Markov processes.- Two parameter filtering equations for jump process semimartingales.- Space-time mixing in a branching model.- Logarithmic transformations and stochastic control.- Generalized Gaussian random solutions of certain evolution equations.- Extremal controls for completely observable diffusions.- Lévy's stochastic area formula in higher dimensions.- Asymptotic nonlinear filtering and large deviations.- Representation and approximation of counting processes.- Approximate invariant measures for the asymptotic distributions of differential equations with wide band noise inputs.- Optimal stochastic control of diffusion type processes and Hamilton-Jacobi-Bellman equations.- On reducing the dimension of control problems by diffusion approximation.- Lie algebraic and approximation methods for some nonlinear filtering problems.- Optimal stopping for two-parameter processes.- Stochastic control problem for reflected diffusions in a convex bounded domain.- Nonlinear filtering of diffusion processes a guided tour.- Note on uniqueness of semigroup associated with Bellman operator.- PDE with random Asymptotic expansion for the moments.- A discrete time stochastic decision model.- On the approximation of controlled jump diffusion processes.- On optimal stochastic control problem of large systems.- Unnormalized conditional probabilities and optimality for partially observed controlled jump Markov processes.- On normal approximation in Banach spaces.- A class of problems in the optimal control of diffusions with finitely many controls.- A resumé of some of the applications of Malliavin's calculus.- Large deviations.

Edition details

• Publisher: Springer
• Publication date: 1982
• Language: English
• ISBN 10: 3540119361
• ISBN 13: 9783540119364
• Binding: Perfect Paperback
• Edition number: 1
• Number of pages: 393
• Editor: L.G. Gorostiza